Institutional Repository
Technical University of Crete
Technical University of Crete
EN
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EL
| URI | http://purl.tuc.gr/dl/dias/836ECFFF-32B1-4FB3-B066-F9217C6AA7D4 | - |
| Identifier | http://www.sciencedirect.com/science/article/pii/S1366554512000968 | - |
| Identifier | https://doi.org/10.1016/j.tre.2012.11.006 | - |
| Language | en | - |
| Extent | 19 pages | el |
| Title | Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms | en |
| Creator | Andriosopoulos Kostas | en |
| Creator | Michael Doumpos | en |
| Creator | Δουμπος Μιχαλης | el |
| Creator | Papapostolou Nikos C. | en |
| Creator | Pouliasis Panos K. | en |
| Publisher | Elsevier | en |
| Content Summary | This paper reproduces the performance of an international market capitalization shipping stock index and two physical shipping indexes by investing only in US stock portfolios. The index-tracking problem is addressed using the differential evolution algorithm and the genetic algorithm. Portfolios are constructed by a subset of stocks picked from the shipping or the Dow Jones Composite Average indexes. To test the performance of the heuristics, three different trading scenarios are examined: annually, quarterly and monthly rebalancing, accounting for transaction costs where necessary. Competing portfolios are also assessed through predictive ability tests. Overall, the proposed investment strategies carry less risk compared to the tracked benchmark indexes while providing investors the opportunity to efficiently replicate the performance of both the stock and physical shipping indexes in the most cost-effective way. | en |
| Type of Item | Peer-Reviewed Journal Publication | en |
| Type of Item | Δημοσίευση σε Περιοδικό με Κριτές | el |
| License | http://creativecommons.org/licenses/by/4.0/ | en |
| Date of Item | 2015-11-17 | - |
| Date of Publication | 2013 | - |
| Subject | Index tracking | en |
| Subject | Investment strategies | en |
| Subject | Shipping | en |
| Subject | Evolutionary algorithms | en |
| Subject | Optimization | en |
| Subject | Stationary bootstrap | en |
| Bibliographic Citation | K. Andriosopoulos, M. Doumpos, N. C. Papapostolou and P. K. Pouliasis, "Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms," Transport. Res. E, vol. 52, pp. 16-34, Jun. 2013. doi:10.1016/j.tre.2012.11.006 | en |
Copyright © DIAS 2013
